ParisXue

QUOTE:

以下是引用goldenbin在2008-6-12 14:09:00的发言：

这几道题讨论一下：

6. What should H do to comply with code and standard?
A.
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.

I choose suspend....just feeling..

26. The repo rate is determined by collateral and position of the borrower?
Collateral    position
YES             YES

I choose Yes    No. 没看到书上写position和repo rate有关系 有关系的是1.collateral quality 2.term of repo 3.delivery requirement 4.availability of collateral 5.prevailing interest rate 6.seasonal factor

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

I Choose A. Feeling....reduce misfit can also be done by comleteness fund but the return will be sacrified.

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

I choose D. Enhanced indexing has highest IR.    (instable cash inflow and outflow：don't know this means what? Is it means cannot use full-replication?）

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

I choose A. International equity volumn 4 page 170 - investability rather than breath

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

don't remember...

40. Which of following statement is false?
Statement1:
Statement2:if active risk double, the active return will be double
Statement3:
Statement4:portable alpha can be added to indexing portfolio to ....?
I choose Statement 2.

I choose Statement 2.

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose B, not sure.

Choose B, not sure also.

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change and scenario analysis can result in different result from total return approach
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.

I choose A.    B&C both wrong and it's a supplement to total return analysis.

[此贴子已经被作者于2008-6-13 1:10:49编辑过]

luckycarl

QUOTE:

以下是引用brett82在2008-6-12 0:16:00的发言：

我觉得应该是suspend manager; sell oversubscribed shares at their costs; 最后那个应该是credit short term interest to those who shouldn't have received allocation, but don't debit on those who should have received shares

一家之言

自己选哪个记不清了，不过好像跟你不同，我始终觉得应该是客户盈利的就给客户不用追回（因为是我们的失误），客户亏损的要补偿客户，不知道是工作中的经验还是书上看的，所以也是一家之言，不是很sure

luckycarl

楼上这些题目是比较绕的，我也不是很sure，而且，有些自己选什么都有点模糊了，呵呵

26、35、37、40好像跟你一样，27我选B，scenario是同时改变几个变量，题目中应该用sensitivity analysis我觉得。其他几个记不清了，不过感觉自己好像错了，呵呵

goldenbin

妈的，觉得下午容易，回头一看自己错好多。。

goldenbin

这几道题讨论一下：

6. What should H do to comply with code and standard?
A.
B. reduce Black's allocation of the fund until compliance requirement meet
C. let Black continously manage the fund as long as achieve good return performance
D.

26. The repo rate is determined by collateral and position of the borrower?
Collateral    position
YES             YES

35. To minimize tracking error, add return, and reduce misfit risk, which is most appropriate?
A. Core-Satelitte Approach
B. Completeness Fund
C. Enhance indexing
D. Portable alpha
I choose A, this question have lots of arguements.

37. The university is want to maxmize information ratio, minimize tracking error, and there is instable cash inflow and outflow, the best strategy is
A. enhance indexing
B. enhance indexing with optimization
C. active management
D. enhance indexing with
Choose B.

38. The appropriate strategy for investing in an international market for the university if use an indexing strategy and want to reduce transaction cost:
A. investability rather than breath
B. target float adjustment rather than flexible adjust
C. band float adjustment rather than

39. To reduce rebalance cost and tracking error, the appropriate strategy
A. Indexing with optimization
B.
C. Passive Indexing
D.
Choose C.

40. Which of following statement is false?
Statement1:
Statement2:if active risk double, the active return will be double
Statement3:
Statement4:portable alpha can be added to indexing portfolio to ....?
I choose Statement 2.

48. Statement about manage future: it is a good diversified investment because investors tend to pay a premium for hedge. CTA has storage cost advantage than most individual, institution investors and traders.
A. YES
B. NO, first statement is true but second is false because CTA don't have such advantage
C. NO, because investor tend to receive a premium for hedge
D. NO, both statement is incorrect.
Choose B, not sure.

27. Statement regarding scenario analysis, can use it to determine the effect of only one variable change and scenario analysis can result in different result from total return approach
The statement is:
A. YES
B. NO, because it can't measure one variable change
C.
D. NO, can't result in different result with total return approach.

brett82

我觉得应该是suspend manager; sell oversubscribed shares at their costs; 最后那个应该是credit short term interest to those who shouldn't have received allocation, but don't debit on those who should have received shares

一家之言

brett82

FOF不过是hedge fund一种，我记得是higher fee, shorter lock-up period

goldenbin

我是问考lock up period的是针对fof还是hedge fund，我可能看的太快，看成是hedge fund了，我看人家讨论的是FOF...FOF没有lock up period, hedge fund有.. 我可能看错了，这下亏大了。。。选择题犯了几个白痴的错误。。。5555555555

sun2210

i think they have, since FOF is the group of hedge funds, hedge has, FOF sure has, that is my opinion

luckycarl

QUOTE:

以下是引用sun2210在2008-6-11 21:44:00的发言：
FOF got higher fee than hedge fund

但是是不是有locking period我还真的不是很sure了，这个对吗？